Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0862
Annualized Std Dev 0.3319
Annualized Sharpe (Rf=0%) -0.2598

Row

Daily Return Statistics

Close
Observations 3499.0000
NAs 1.0000
Minimum -0.2308
Quartile 1 -0.0070
Median 0.0000
Arithmetic Mean -0.0001
Geometric Mean -0.0004
Quartile 3 0.0075
Maximum 0.3455
SE Mean 0.0004
LCL Mean (0.95) -0.0008
UCL Mean (0.95) 0.0006
Variance 0.0004
Stdev 0.0209
Skewness 0.4697
Kurtosis 44.0282

Downside Risk

Close
Semi Deviation 0.0151
Gain Deviation 0.0169
Loss Deviation 0.0183
Downside Deviation (MAR=210%) 0.0192
Downside Deviation (Rf=0%) 0.0151
Downside Deviation (0%) 0.0151
Maximum Drawdown 0.8925
Historical VaR (95%) -0.0258
Historical ES (95%) -0.0503
Modified VaR (95%) -0.0131
Modified ES (95%) -0.0131
From Trough To Depth Length To Trough Recovery
2007-05-04 2009-03-09 NA -0.8925 3495 465 NA
2007-04-30 2007-04-30 2007-05-01 -0.0010 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA 0.6 0 0.2 -1.8 3.8 2.8 -1.6 5 0 9
2008 2.1 -2.9 3.7 2.2 0 0.6 3 0.3 1.8 2.8 -2.8 5.3 17.1
2009 -3.8 0 1.4 1 4.1 1.3 0.7 -1.7 -2.4 -4.5 1.2 -0.6 -3.6
2010 2.2 2.6 0.2 -2.1 -2.1 0.6 1.1 2 1.2 1.3 2.1 0.1 9.4
2011 0.6 -1.1 0.4 0.1 -1.1 1.1 0.8 -0.9 -2.9 -3 -0.2 0.2 -5.9
2012 1.5 1.2 0.5 0.8 -1.8 2.6 -0.5 1.3 0.7 1.8 0.8 1.8 11.1
2013 0.9 1 -0.4 -0.2 -4.2 1.7 0.7 0.9 0.7 0.1 0.6 0.6 2.3
2014 -0.4 0.7 1.3 0.6 0.1 0.4 0.7 0.1 -0.1 1 -0.7 5.3 9.1
2015 -1.5 0.9 0.6 0.9 0.1 1.4 1 -0.9 0.5 1.8 1 -0.3 5.6
2016 1.6 2.4 0 0 0 0.9 -1 -0.2 0.2 -1.1 -0.4 0.8 3.1
2017 0.6 0.7 0.5 0.2 0.5 0.8 0.2 0.5 1.7 0.9 0.8 2.3 9.9
2018 -0.3 -1.1 0.8 0.2 0 0.5 0 0.3 1.7 1.3 -0.7 0 2.6
2019 0.2 0.5 0.3 0.2 -0.8 0.5 -1 -0.2 -1 0.3 0.3 0.3 -0.3
2020 -1.5 -3.8 -6.1 -1.4 3.1 2.1 -0.4 -0.2 2.2 -1.1 1 0 -6.4
2021 1.1 1.8 0 NA NA NA NA NA NA NA NA NA 3

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart